Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0048
Annualized Std Dev 0.1956
Annualized Sharpe (Rf=0%) 0.0247

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1372
Quartile 1 -0.0044
Median 0.0005
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0054
Maximum 0.1310
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0123
Skewness -0.9353
Kurtosis 17.6296

Downside Risk

Close
Semi Deviation 0.0093
Gain Deviation 0.0085
Loss Deviation 0.0109
Downside Deviation (MAR=210%) 0.0138
Downside Deviation (Rf=0%) 0.0092
Downside Deviation (0%) 0.0092
Maximum Drawdown 0.7822
Historical VaR (95%) -0.0174
Historical ES (95%) -0.0313
Modified VaR (95%) -0.0189
Modified ES (95%) -0.0395
From Trough To Depth Length To Trough Recovery
1999-12-08 2009-03-09 NA -0.7822 5355 2325 NA
1999-07-20 1999-10-18 1999-11-19 -0.0952 88 64 24
1999-05-14 1999-06-14 1999-07-15 -0.0541 43 21 22
1999-01-07 1999-02-26 1999-03-12 -0.0385 45 35 10
1999-03-16 1999-03-23 1999-03-26 -0.0214 9 6 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.4 0 0 -0.6 0 0.2 0.2 -0.4 -0.9 -0.2 0.2 1.4 0.3
2000 0.5 0 1.7 0.5 1.5 1 0.7 -0.2 -1.2 -0.2 0.3 0 4.6
2001 1.3 -0.3 0.6 0.7 0.6 0.6 0.4 0.4 -0.3 1.3 -0.2 0.3 5.4
2002 0 1.3 -0.3 1.4 -0.4 -0.7 -1.9 0.3 3.3 1.4 0.1 0.4 5
2003 0.5 0.1 0.9 0.2 1.9 0.7 -0.9 0.7 1.7 0.7 1 0.2 7.9
2004 -0.1 0.7 0.3 -0.4 0 -1 0.4 0.3 1.7 -0.2 1.2 -0.2 2.7
2005 0.4 0.7 -0.6 1.2 0.6 -0.1 -0.2 0.1 -0.3 -0.2 0.9 -0.4 2
2006 0 0.5 -0.2 -0.3 1 0.2 -0.5 0.5 0.1 -0.8 -0.4 -0.4 -0.2
2007 0.3 -0.6 -0.3 0 0.5 0.4 0 1.4 1.2 -1.9 0.9 1 2.9
2008 2.1 -2.4 3.3 1.6 0.3 0 -0.4 -1 1 2.9 -9 3.1 0.8
2009 -0.5 -1.8 1.3 0.3 1.9 1 2.7 -2.5 -1.5 -3.2 0.9 -0.1 -1.6
2010 1.4 1.1 1 -1.2 2.7 -0.6 0 3.1 0.1 0 1.8 0.5 10.1
2011 0.7 -1.2 0.4 0.3 -1.7 1.3 -0.1 -1.1 -2.4 -2.9 0.9 -0.1 -6
2012 1 0.7 0.4 0.6 -2.1 2 -0.1 0.2 0.5 1 0.2 1.2 5.8
2013 0.7 0.2 -0.1 -0.9 -0.9 0.4 1.1 0.3 0.4 0.2 -0.2 0.2 1.4
2014 -0.5 0.2 0.2 0.1 0.1 0.6 -0.8 0.5 -1.3 1.1 -0.3 -0.3 -0.4
2015 -0.9 -0.3 -0.6 0.6 0.1 0.8 0 -2.1 -0.8 -0.1 0.7 -0.3 -3
2016 0.1 1.7 0.2 -0.5 0 0.4 -0.4 0 0.9 -0.3 -0.3 -0.2 1.5
2017 0.1 0.5 -0.1 0.9 0.3 0.2 -0.2 0.5 0.4 0.1 -0.2 0.2 2.9
2018 0.3 -1.9 1.1 -0.5 0.6 0.2 -0.1 -0.1 0.5 1.1 0.5 1 2.5
2019 0 0 1.1 -0.1 -1 0.8 -1.2 0.5 -0.8 0.8 0 0.7 0.6
2020 -1.7 -3.1 -5.1 -2.4 0.7 0.4 0.2 -0.1 0.5 -1.1 1.4 0.2 -9.7
2021 1.5 1.3 0.3 NA NA NA NA NA NA NA NA NA 3.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  28.4 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  28.8 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  29.2 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  29.1 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  29.1 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  29.1 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart